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These are hypothetical performance results that have certain inherent limitations. Learn more

ForeX Trend trade
(140698727)

Created by: Karl_Colin Karl_Colin
Started: 06/2022
Forex
Last trade: 510 days ago
Trading style: Futures Momentum

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
-81.3%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(98.1%)
Max Drawdown
166
Num Trades
52.4%
Win Trades
0.3 : 1
Profit Factor
21.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                   (5.2%)+8.0%+0.7%+3.0%+2.0%(98.1%)+104.4%(95.8%)
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 10 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/28/22 14:17 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 2 11607.50 12/1 5:09 11821.02 1018.22%
Trade id #142698596
Max drawdown($9,500)
Time12/1/22 0:31
Quant open1
Worst price12082.50
Drawdown as % of equity-1018.22%
($8,557)
Includes Typical Broker Commissions trade costs of $16.00
11/23/22 7:20 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 2 11780.75 11/28 14:17 11605.75 49.72%
Trade id #142656762
Max drawdown($7,140)
Time11/28/22 14:14
Quant open2
Worst price11602.20
Drawdown as % of equity-49.72%
($7,016)
Includes Typical Broker Commissions trade costs of $16.00
11/18/22 9:03 @RTYZ2 Russell 2000 CME LONG 20 1863.60 11/23 7:17 1860.47 77.4%
Trade id #142610935
Max drawdown($12,400)
Time11/18/22 10:08
Quant open20
Worst price1851.20
Drawdown as % of equity-77.40%
($3,290)
Includes Typical Broker Commissions trade costs of $160.00
11/16/22 21:17 GBP/USD GBP/USD SHORT 80 1.18682 11/18 5:41 1.19234 23.86%
Trade id #142592275
Max drawdown($5,831)
Time11/17/22 0:00
Quant open70
Worst price1.19578
Drawdown as % of equity-23.86%
($4,420)
11/16/22 5:50 GBP/USD GBP/USD LONG 80 1.19302 11/16 21:17 1.18773 28.19%
Trade id #142580946
Max drawdown($7,899)
Time11/16/22 10:09
Quant open80
Worst price1.18315
Drawdown as % of equity-28.19%
($4,235)
11/15/22 14:02 GBP/USD GBP/USD SHORT 100 1.17970 11/16 5:50 1.19298 44.14%
Trade id #142574566
Max drawdown($14,470)
Time11/16/22 5:22
Quant open100
Worst price1.19417
Drawdown as % of equity-44.14%
($13,280)
11/15/22 11:16 GBP/USD GBP/USD LONG 50 1.18934 11/15 14:02 1.18003 10.6%
Trade id #142571053
Max drawdown($4,813)
Time11/15/22 14:02
Quant open50
Worst price1.17971
Drawdown as % of equity-10.60%
($4,653)
11/15/22 11:15 EUR/USD EUR/USD LONG 50 1.03851 11/15 14:02 1.02887 10.92%
Trade id #142571046
Max drawdown($4,957)
Time11/15/22 14:02
Quant open50
Worst price1.02860
Drawdown as % of equity-10.92%
($4,822)
11/15/22 11:00 EUR/USD EUR/USD LONG 40 1.03687 11/15 11:13 1.03767 n/a $320
11/15/22 11:00 GBP/USD GBP/USD LONG 20 1.18966 11/15 11:13 1.18850 0.54%
Trade id #142570692
Max drawdown($284)
Time11/15/22 11:13
Quant open20
Worst price1.18824
Drawdown as % of equity-0.54%
($232)
11/15/22 9:26 EUR/USD EUR/USD LONG 20 1.04086 11/15 10:47 1.03716 1.44%
Trade id #142567426
Max drawdown($764)
Time11/15/22 10:47
Quant open20
Worst price1.03704
Drawdown as % of equity-1.44%
($740)
11/15/22 1:47 GBP/USD GBP/USD LONG 10 1.17842 11/15 4:55 1.18282 n/a $440
11/9/22 15:00 EUR/USD EUR/USD SHORT 1 1.00020 11/15 1:45 1.03372 0.69%
Trade id #142507600
Max drawdown($362)
Time11/11/22 0:00
Quant open1
Worst price1.03642
Drawdown as % of equity-0.69%
($335)
10/21/22 5:12 EUR/USD EUR/USD SHORT 20 0.97905 10/21 11:04 0.97858 0.47%
Trade id #142257679
Max drawdown($247)
Time10/21/22 10:10
Quant open4
Worst price0.98170
Drawdown as % of equity-0.47%
$93
10/18/22 11:12 EUR/USD EUR/USD SHORT 2 0.98368 10/20 10:32 0.98307 0.14%
Trade id #142209955
Max drawdown($71)
Time10/18/22 19:10
Quant open2
Worst price0.98725
Drawdown as % of equity-0.14%
$12
10/18/22 7:50 EUR/USD EUR/USD LONG 2 0.98325 10/18 11:12 0.98369 0.03%
Trade id #142203449
Max drawdown($16)
Time10/18/22 10:36
Quant open2
Worst price0.98245
Drawdown as % of equity-0.03%
$9
10/6/22 8:11 GBP/USD GBP/USD SHORT 10 1.12557 10/10 20:24 1.11526 0.29%
Trade id #142061877
Max drawdown($152)
Time10/6/22 8:42
Quant open5
Worst price1.12870
Drawdown as % of equity-0.29%
$1,031
10/3/22 14:02 GBP/USD GBP/USD SHORT 20 1.12788 10/6 8:11 1.12783 0.42%
Trade id #142016468
Max drawdown($217)
Time10/4/22 0:00
Quant open1
Worst price1.14901
Drawdown as % of equity-0.42%
$10
10/3/22 8:47 EUR/USD EUR/USD SHORT 50 0.98715 10/4 7:26 0.98707 2.1%
Trade id #142009180
Max drawdown($1,075)
Time10/4/22 7:03
Quant open40
Worst price0.98982
Drawdown as % of equity-2.10%
$40
9/22/22 22:53 EUR/USD EUR/USD SHORT 3 0.98282 9/23 4:39 0.97603 0.14%
Trade id #141900754
Max drawdown($71)
Time9/23/22 0:00
Quant open3
Worst price0.98520
Drawdown as % of equity-0.14%
$204
9/20/22 21:51 EUR/USD EUR/USD SHORT 2 0.99646 9/21 7:55 0.99033 0.04%
Trade id #141871357
Max drawdown($21)
Time9/21/22 0:00
Quant open2
Worst price0.99751
Drawdown as % of equity-0.04%
$123
9/20/22 7:43 EUR/USD EUR/USD SHORT 2 0.99935 9/20 9:14 0.99721 0.02%
Trade id #141861100
Max drawdown($9)
Time9/20/22 7:50
Quant open2
Worst price0.99983
Drawdown as % of equity-0.02%
$43
9/20/22 0:44 EUR/USD EUR/USD SHORT 2 1.00201 9/20 7:27 1.00077 0.09%
Trade id #141859126
Max drawdown($44)
Time9/20/22 3:30
Quant open2
Worst price1.00421
Drawdown as % of equity-0.09%
$25
9/18/22 22:29 EUR/USD EUR/USD SHORT 5 0.99971 9/19 2:18 0.99773 0.31%
Trade id #141845190
Max drawdown($161)
Time9/19/22 0:00
Quant open5
Worst price1.00293
Drawdown as % of equity-0.31%
$99
9/15/22 1:16 EUR/USD EUR/USD SHORT 40 1.00182 9/16 11:13 1.00178 1.1%
Trade id #141810790
Max drawdown($562)
Time9/16/22 11:01
Quant open40
Worst price1.00323
Drawdown as % of equity-1.10%
$18
9/13/22 11:02 EUR/USD EUR/USD SHORT 10 1.00064 9/14 10:08 0.99836 0.22%
Trade id #141765086
Max drawdown($112)
Time9/14/22 6:57
Quant open10
Worst price1.00176
Drawdown as % of equity-0.22%
$228
9/13/22 5:25 EUR/USD EUR/USD LONG 10 1.01593 9/13 5:45 1.01628 0.08%
Trade id #141760465
Max drawdown($39)
Time9/13/22 5:28
Quant open10
Worst price1.01554
Drawdown as % of equity-0.08%
$35
9/13/22 4:37 EUR/USD EUR/USD LONG 40 1.01459 9/13 5:00 1.01600 n/a $564
9/13/22 4:28 EUR/USD EUR/USD SHORT 10 1.01337 9/13 4:37 1.01427 0.23%
Trade id #141760177
Max drawdown($116)
Time9/13/22 4:37
Quant open10
Worst price1.01453
Drawdown as % of equity-0.23%
($90)
9/13/22 2:05 EUR/USD EUR/USD LONG 10 1.01451 9/13 4:28 1.01335 0.36%
Trade id #141759459
Max drawdown($181)
Time9/13/22 3:15
Quant open10
Worst price1.01270
Drawdown as % of equity-0.36%
($116)

Statistics

  • Strategy began
    6/7/2022
  • Suggested Minimum Cap
    $49,000
  • Strategy Age (days)
    685.74
  • Age
    23 months ago
  • What it trades
    Forex
  • # Trades
    166
  • # Profitable
    87
  • % Profitable
    52.40%
  • Avg trade duration
    14.4 hours
  • Max peak-to-valley drawdown
    98.1%
  • drawdown period
    Oct 06, 2022 - Nov 30, 2022
  • Annual Return (Compounded)
    -81.3%
  • Avg win
    $236.13
  • Avg loss
    $840.59
  • Model Account Values (Raw)
  • Cash
    $3,134
  • Margin Used
    $0
  • Buying Power
    $3,134
  • Ratios
  • W:L ratio
    0.31:1
  • Sharpe Ratio
    -1.02
  • Sortino Ratio
    -1.14
  • Calmar Ratio
    -1.026
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -116.19%
  • Correlation to SP500
    -0.01210
  • Return Percent SP500 (cumu) during strategy life
    21.87%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -81.3%
  • Slump
  • Current Slump as Pcnt Equity
    2459.20%
  • Instruments
  • Percent Trades Futures
    0.03%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.82%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.813%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.97%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -76.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    9.84%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $841
  • Avg Win
    $236
  • Sum Trade PL (losers)
    $66,407.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $20,543.000
  • # Winners
    87
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    79
  • % Winners
    52.4%
  • Frequency
  • Avg Position Time (mins)
    866.85
  • Avg Position Time (hrs)
    14.45
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    509
  • Leverage
  • Daily leverage (average)
    12.09
  • Daily leverage (max)
    248.82
  • Regression
  • Alpha
    -0.30
  • Beta
    -0.06
  • Treynor Index
    4.75
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.08
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -41.75
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.16
  • Avg(MAE) / Avg(PL) - All trades
    -2.445
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.28
  • Avg(MAE) / Avg(PL) - Winning trades
    0.730
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.633
  • Hold-and-Hope Ratio
    -0.409
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.29765
  • SD
    1.17282
  • Sharpe ratio (Glass type estimate)
    -1.10644
  • Sharpe ratio (Hedges UMVUE)
    -0.98274
  • df
    7.00000
  • t
    -0.90340
  • p
    0.80183
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.53672
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39693
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.43777
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47229
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.12210
  • Upside Potential Ratio
    0.13349
  • Upside part of mean
    0.15438
  • Downside part of mean
    -1.45203
  • Upside SD
    0.08070
  • Downside SD
    1.15645
  • N nonnegative terms
    4.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.06430
  • Mean of criterion
    -1.29765
  • SD of predictor
    0.19983
  • SD of criterion
    1.17282
  • Covariance
    -0.03801
  • r
    -0.16217
  • b (slope, estimate of beta)
    -0.95181
  • a (intercept, estimate of alpha)
    -1.23645
  • Mean Square Error
    1.56255
  • DF error
    6.00000
  • t(b)
    -0.40257
  • p(b)
    0.64939
  • t(a)
    -0.80368
  • p(a)
    0.77388
  • Lowerbound of 95% confidence interval for beta
    -6.73715
  • Upperbound of 95% confidence interval for beta
    4.83353
  • Lowerbound of 95% confidence interval for alpha
    -5.00103
  • Upperbound of 95% confidence interval for alpha
    2.52813
  • Treynor index (mean / b)
    1.36335
  • Jensen alpha (a)
    -1.23645
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -4.15217
  • SD
    3.49816
  • Sharpe ratio (Glass type estimate)
    -1.18696
  • Sharpe ratio (Hedges UMVUE)
    -1.05426
  • df
    7.00000
  • t
    -0.96915
  • p
    0.81762
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.62480
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32864
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.51742
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40890
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.19179
  • Upside Potential Ratio
    0.04331
  • Upside part of mean
    0.15089
  • Downside part of mean
    -4.30306
  • Upside SD
    0.07853
  • Downside SD
    3.48397
  • N nonnegative terms
    4.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.04682
  • Mean of criterion
    -4.15217
  • SD of predictor
    0.19795
  • SD of criterion
    3.49816
  • Covariance
    -0.12630
  • r
    -0.18239
  • b (slope, estimate of beta)
    -3.22321
  • a (intercept, estimate of alpha)
    -4.00127
  • Mean Square Error
    13.80170
  • DF error
    6.00000
  • t(b)
    -0.45439
  • p(b)
    0.66724
  • t(a)
    -0.87706
  • p(a)
    0.79291
  • Lowerbound of 95% confidence interval for beta
    -20.58050
  • Upperbound of 95% confidence interval for beta
    14.13410
  • Lowerbound of 95% confidence interval for alpha
    -15.16450
  • Upperbound of 95% confidence interval for alpha
    7.16196
  • Treynor index (mean / b)
    1.28821
  • Jensen alpha (a)
    -4.00127
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.86561
  • Expected Shortfall on VaR
    0.90648
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.27194
  • Expected Shortfall on VaR
    0.59344
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.05829
  • Quartile 1
    0.99575
  • Median
    1.00450
  • Quartile 3
    1.01657
  • Maximum
    1.06060
  • Mean of quarter 1
    0.52065
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.01042
  • Mean of quarter 4
    1.04570
  • Inter Quartile Range
    0.02082
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.05829
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.06060
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01700
  • Quartile 1
    0.24818
  • Median
    0.47935
  • Quartile 3
    0.71053
  • Maximum
    0.94171
  • Mean of quarter 1
    0.01700
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.94171
  • Inter Quartile Range
    0.46235
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.40406
  • Compounded annual return (geometric extrapolation)
    -0.98382
  • Calmar ratio (compounded annual return / max draw down)
    -1.04473
  • Compounded annual return / average of 25% largest draw downs
    -1.04473
  • Compounded annual return / Expected Shortfall lognormal
    -1.08532
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.51045
  • SD
    1.33229
  • Sharpe ratio (Glass type estimate)
    -1.88431
  • Sharpe ratio (Hedges UMVUE)
    -1.87697
  • df
    193.00000
  • t
    -1.62144
  • p
    0.57364
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.16739
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.40352
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.16236
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40841
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.07106
  • Upside Potential Ratio
    1.23120
  • Upside part of mean
    1.49241
  • Downside part of mean
    -4.00286
  • Upside SD
    0.56620
  • Downside SD
    1.21216
  • N nonnegative terms
    47.00000
  • N negative terms
    147.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    194.00000
  • Mean of predictor
    0.27639
  • Mean of criterion
    -2.51045
  • SD of predictor
    0.28234
  • SD of criterion
    1.33229
  • Covariance
    0.00231
  • r
    0.00615
  • b (slope, estimate of beta)
    0.02902
  • a (intercept, estimate of alpha)
    -2.51800
  • Mean Square Error
    1.78418
  • DF error
    192.00000
  • t(b)
    0.08523
  • p(b)
    0.49693
  • t(a)
    -1.61946
  • p(a)
    0.55804
  • Lowerbound of 95% confidence interval for beta
    -0.64265
  • Upperbound of 95% confidence interval for beta
    0.70070
  • Lowerbound of 95% confidence interval for alpha
    -5.58580
  • Upperbound of 95% confidence interval for alpha
    0.54886
  • Treynor index (mean / b)
    -86.49660
  • Jensen alpha (a)
    -2.51847
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.74116
  • SD
    1.70648
  • Sharpe ratio (Glass type estimate)
    -2.19232
  • Sharpe ratio (Hedges UMVUE)
    -2.18379
  • df
    193.00000
  • t
    -1.88649
  • p
    0.58540
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.47772
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.09864
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.47189
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10431
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.27545
  • Upside Potential Ratio
    0.82568
  • Upside part of mean
    1.35753
  • Downside part of mean
    -5.09870
  • Upside SD
    0.49729
  • Downside SD
    1.64414
  • N nonnegative terms
    47.00000
  • N negative terms
    147.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    194.00000
  • Mean of predictor
    0.23686
  • Mean of criterion
    -3.74116
  • SD of predictor
    0.28096
  • SD of criterion
    1.70648
  • Covariance
    0.00081
  • r
    0.00169
  • b (slope, estimate of beta)
    0.01029
  • a (intercept, estimate of alpha)
    -3.74360
  • Mean Square Error
    2.92725
  • DF error
    192.00000
  • t(b)
    0.02348
  • p(b)
    0.49915
  • t(a)
    -1.88026
  • p(a)
    0.56723
  • Lowerbound of 95% confidence interval for beta
    -0.85429
  • Upperbound of 95% confidence interval for beta
    0.87487
  • Lowerbound of 95% confidence interval for alpha
    -7.67064
  • Upperbound of 95% confidence interval for alpha
    0.18344
  • Treynor index (mean / b)
    -363.44200
  • Jensen alpha (a)
    -3.74360
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17113
  • Expected Shortfall on VaR
    0.20625
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04449
  • Expected Shortfall on VaR
    0.10056
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    194.00000
  • Minimum
    0.38928
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.37473
  • Mean of quarter 1
    0.93983
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02266
  • Inter Quartile Range
    0.00000
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.23196
  • Mean of outliers low
    0.93448
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.24742
  • Mean of outliers high
    1.02313
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.35461
  • VaR(95%) (moments method)
    0.01632
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.64266
  • VaR(95%) (regression method)
    0.01310
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00031
  • Quartile 1
    0.00126
  • Median
    0.00244
  • Quartile 3
    0.01672
  • Maximum
    0.95066
  • Mean of quarter 1
    0.00063
  • Mean of quarter 2
    0.00172
  • Mean of quarter 3
    0.00994
  • Mean of quarter 4
    0.34034
  • Inter Quartile Range
    0.01546
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.50079
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.55187
  • VaR(95%) (moments method)
    0.21432
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.83651
  • VaR(95%) (regression method)
    1.68056
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.26414
  • Compounded annual return (geometric extrapolation)
    -0.97560
  • Calmar ratio (compounded annual return / max draw down)
    -1.02623
  • Compounded annual return / average of 25% largest draw downs
    -2.86658
  • Compounded annual return / Expected Shortfall lognormal
    -4.73010
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.78586
  • SD
    1.61581
  • Sharpe ratio (Glass type estimate)
    -2.34302
  • Sharpe ratio (Hedges UMVUE)
    -2.32947
  • df
    130.00000
  • t
    -1.65676
  • p
    0.57190
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.12505
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.44775
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.11571
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45676
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.56781
  • Upside Potential Ratio
    1.30635
  • Upside part of mean
    1.92603
  • Downside part of mean
    -5.71189
  • Upside SD
    0.68693
  • Downside SD
    1.47436
  • N nonnegative terms
    22.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.52658
  • Mean of criterion
    -3.78586
  • SD of predictor
    0.30214
  • SD of criterion
    1.61581
  • Covariance
    0.00742
  • r
    0.01520
  • b (slope, estimate of beta)
    0.08128
  • a (intercept, estimate of alpha)
    -3.82866
  • Mean Square Error
    2.63046
  • DF error
    129.00000
  • t(b)
    0.17265
  • p(b)
    0.49032
  • t(a)
    -1.65956
  • p(a)
    0.59172
  • Lowerbound of 95% confidence interval for beta
    -0.85020
  • Upperbound of 95% confidence interval for beta
    1.01276
  • Lowerbound of 95% confidence interval for alpha
    -8.39318
  • Upperbound of 95% confidence interval for alpha
    0.73585
  • Treynor index (mean / b)
    -46.57720
  • Jensen alpha (a)
    -3.82866
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.60589
  • SD
    2.06810
  • Sharpe ratio (Glass type estimate)
    -2.71064
  • Sharpe ratio (Hedges UMVUE)
    -2.69498
  • df
    130.00000
  • t
    -1.91672
  • p
    0.58289
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.49686
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.08578
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.48607
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09612
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.80261
  • Upside Potential Ratio
    0.86377
  • Upside part of mean
    1.72774
  • Downside part of mean
    -7.33363
  • Upside SD
    0.60282
  • Downside SD
    2.00024
  • N nonnegative terms
    22.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.48119
  • Mean of criterion
    -5.60589
  • SD of predictor
    0.30003
  • SD of criterion
    2.06810
  • Covariance
    0.00679
  • r
    0.01094
  • b (slope, estimate of beta)
    0.07542
  • a (intercept, estimate of alpha)
    -5.64218
  • Mean Square Error
    4.30969
  • DF error
    129.00000
  • t(b)
    0.12429
  • p(b)
    0.49303
  • t(a)
    -1.91237
  • p(a)
    0.60521
  • VAR (95 Confidence Intrvl)
    0.17100
  • Lowerbound of 95% confidence interval for beta
    -1.12524
  • Upperbound of 95% confidence interval for beta
    1.27609
  • Lowerbound of 95% confidence interval for alpha
    -11.47960
  • Upperbound of 95% confidence interval for alpha
    0.19518
  • Treynor index (mean / b)
    -74.32590
  • Jensen alpha (a)
    -5.64218
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20670
  • Expected Shortfall on VaR
    0.24712
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06760
  • Expected Shortfall on VaR
    0.14925
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.38928
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.37473
  • Mean of quarter 1
    0.91381
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02925
  • Inter Quartile Range
    0.00000
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.16794
  • Mean of outliers low
    0.87071
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.16794
  • Mean of outliers high
    1.04388
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.66460
  • VaR(95%) (moments method)
    0.01054
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.73093
  • VaR(95%) (regression method)
    0.04745
  • Expected Shortfall (regression method)
    0.32757
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00031
  • Quartile 1
    0.00125
  • Median
    0.00181
  • Quartile 3
    0.00496
  • Maximum
    0.95066
  • Mean of quarter 1
    0.00075
  • Mean of quarter 2
    0.00141
  • Mean of quarter 3
    0.00221
  • Mean of quarter 4
    0.47827
  • Inter Quartile Range
    0.00371
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.95066
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -345840000
  • Max Equity Drawdown (num days)
    55
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.87703
  • Compounded annual return (geometric extrapolation)
    -0.99622
  • Calmar ratio (compounded annual return / max draw down)
    -1.04792
  • Compounded annual return / average of 25% largest draw downs
    -2.08296
  • Compounded annual return / Expected Shortfall lognormal
    -4.03139

Strategy Description

AUD/USD, EUR/USD, GBP/USD, NZD/USD, USD/CHF, USD/JPY, USD/CAD

Summary Statistics

Strategy began
2022-06-07
Suggested Minimum Capital
$10,000
# Trades
166
# Profitable
87
% Profitable
52.4%
Correlation S&P500
-0.012
Sharpe Ratio
-1.02
Sortino Ratio
-1.14
Beta
-0.06
Alpha
-0.30
Leverage
12.09 Average
248.82 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.